Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 13 (1D) Nov 14 (2D) Nov 17 (5D) Nov 18 (6D) Nov 19 (7D) Nov 20 (8D) Nov 21 (9D) Nov 24 (12D) Nov 25 (13D) Nov 26 (14D) Nov 28 (16D) Dec 05 (23D) Dec 12 (30D) Dec 19 (37D) Dec 26 (44D)
lower 677.117 674.522 669.375 668.038 666.809 665.665 664.59 661.683 660.797 659.945 658.327 653.342 649.075 645.282 641.834
upper 689.643 692.238 697.385 698.722 699.951 701.095 702.17 705.077 705.963 706.815 708.433 713.418 717.685 721.478 724.926
expected move 6.263 8.858 14.005 15.342 16.571 17.715 18.79 21.697 22.583 23.435 25.053 30.038 34.305 38.098 41.546
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
LinkedIn Connect with me on LinkedIn